Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0053 |
| Annualized Std Dev | 0.1738 |
| Annualized Sharpe (Rf=0%) | -0.0305 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4909.0000 |
| NAs | 1.0000 |
| Minimum | -0.1006 |
| Quartile 1 | -0.0051 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.0961 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0109 |
| Skewness | 0.1771 |
| Kurtosis | 7.4263 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.5528 |
| Historical VaR (95%) | -0.0166 |
| Historical ES (95%) | -0.0250 |
| Modified VaR (95%) | -0.0158 |
| Modified ES (95%) | -0.0201 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-12-10 | 2008-12-16 | 2012-10-02 | -0.5528 | 1793 | 883 | 910 |
| 2012-10-11 | 2018-10-29 | NA | -0.3311 | 1898 | 1363 | NA |
| 1999-02-08 | 1999-12-29 | 2002-07-03 | -0.2583 | 670 | 156 | 514 |
| 2002-07-29 | 2002-11-26 | 2004-11-03 | -0.1613 | 486 | 75 | 411 |
| 1999-01-11 | 1999-01-20 | 1999-02-02 | -0.0551 | 15 | 7 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.4 | 0.4 | -0.9 | -0.4 | 0 | -0.5 | -0.5 | 0 | -1.4 | -0.5 | 1.5 | 0 | -1.8 |
| 2000 | 0.5 | 0 | -1 | 0 | 0 | -0.5 | 0.5 | 0 | 0.5 | 1 | 0 | 1 | 2 |
| 2001 | -0.4 | 0 | 0 | 0 | 0.1 | -1.8 | 0.1 | 0 | 0.7 | 0.4 | 2.2 | -1 | 0.2 |
| 2002 | 1.7 | -1.1 | 0.8 | 0 | 0.1 | 0.1 | -1.3 | 0 | -0.1 | 0.1 | 0.1 | 0.4 | 0.6 |
| 2003 | -0.7 | -0.7 | 0.7 | 0.6 | -0.5 | 0.5 | -3 | 0.6 | 0 | 0 | 0.7 | 1 | -0.9 |
| 2004 | 0 | 1.1 | -0.5 | -0.4 | 1 | 0.2 | 1.5 | -1.4 | -0.9 | 1 | -0.8 | -0.1 | 0.6 |
| 2005 | 0.1 | 0.1 | -0.4 | -0.4 | 2.8 | 0.8 | 0.9 | -0.3 | -0.3 | 0.1 | -1.4 | 0.7 | 2.8 |
| 2006 | -0.8 | 0 | -0.8 | -0.4 | -1.2 | 0.9 | -0.7 | 0.1 | -0.1 | 0.5 | 0.4 | 0.4 | -1.7 |
| 2007 | 0.2 | 0.2 | 0 | 0.5 | 0 | 0.4 | -1.2 | 0.1 | -0.2 | 0.7 | 1 | 1.2 | 2.7 |
| 2008 | -0.1 | -0.8 | 0.3 | -0.1 | 0 | 0.2 | -0.1 | 0.1 | -1 | 1.7 | 0.1 | 5.9 | 6.2 |
| 2009 | -0.4 | -1.5 | 0.4 | 0.6 | 2.7 | 1.1 | 1.4 | -0.6 | 0 | 0 | 0 | 0.2 | 3.9 |
| 2010 | 1 | 0.7 | 0.2 | -0.1 | -0.6 | -2.8 | 0.7 | -0.7 | -1.6 | 0.4 | 0.7 | 1.1 | -1.1 |
| 2011 | 0.4 | 0.6 | 1.3 | -1.4 | 1.1 | 1.1 | -1.1 | 1 | 1.1 | 0.5 | 1 | 0.5 | 6.3 |
| 2012 | 1.1 | 0.9 | 0.6 | 2.7 | 0.3 | -1.8 | 1.2 | -0.9 | 1.2 | -0.8 | 1.1 | 1.4 | 7 |
| 2013 | -0.4 | -0.7 | -0.8 | -1.3 | -1 | 1 | 0.4 | 0.1 | -0.2 | -1.2 | -0.3 | -0.2 | -4.5 |
| 2014 | 1.3 | -0.2 | 0.2 | -0.7 | 2 | -0.3 | -0.4 | -0.9 | 1.2 | 0.6 | 0 | -0.6 | 2.3 |
| 2015 | 0.2 | 1.1 | -1.2 | -0.5 | 1.2 | -0.8 | 0.3 | -0.5 | 0.7 | -1 | -0.1 | 1.4 | 0.8 |
| 2016 | 1.6 | -1 | 0.7 | 0 | 0.3 | 0.7 | -4.2 | 0 | -0.9 | -1.2 | -0.3 | 0.4 | -4 |
| 2017 | 0.3 | 0 | 1.8 | -1.3 | 0.5 | 1.2 | 0 | 1.3 | 0.2 | 0.2 | 0.2 | -0.4 | 4.1 |
| 2018 | 0.7 | 0.2 | -0.4 | -0.7 | 0.5 | 0.3 | 0.2 | 0.1 | -1.9 | -0.2 | 1.6 | -0.6 | -0.2 |
| 2019 | 2.3 | -1 | 0.2 | -0.1 | 0.6 | -0.1 | 1 | -1.1 | -0.7 | -0.8 | 0.4 | 0 | 0.8 |
| 2020 | -0.6 | -1.6 | -1.6 | -0.5 | -0.2 | 3.3 | 0.5 | 0 | -0.5 | 0 | 0.7 | 1.1 | 0.3 |
| 2021 | 0 | 1.8 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 14.8 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 14.8 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 14.6 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 14.8 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 14.8 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 14.6 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
